Faculty of Engineering and Natural Sciences
Discounted Robust Stochastic Games and an Application to Queueing Control
Erim Kardeş, University of Southern California (USC)
This study presents a robust optimization model for n-person finite state/action discounted stochastic games with incomplete information. We consider n-player, non-zero sum discounted stochastic games in which none of the players knows the true data of the game and each player considers a distribution-free incomplete information stochastic game to be played using robust optimization. We call such games “discounted robust stochastic games”. Discounted robust stochastic games allow us to use simple uncertainty sets for the unknown data of the game, and eliminate the need to have an a-priori probability distribution over a set of games. We prove the existence of Markov perfect equilibria and propose a multilinear system formulation, the solution of which provides the set of equilibrium points of the game. We illustrate the use of discounted robust stochastic games in a single server queueing control problem.
Erim Kardes is a postdoctoral research associate at the University of Southern California (USC). He received his Ph.D. degree in Industrial and Systems Engineering from USC in August 2007. His dissertation is on incomplete information stochastic games with applications to queuing control and decision problems that include adversaries. His primary research interest is on probability models with optimization applications, Markov decision processes, and stochastic games. Erim also participated in research (funded by NASA and FAA) during his Master's at Rutgers University, where he investigated the safety impact of a new product portfolio developed by NASA on the national aerospace system risk.
Wednesday, 31 December 2008, 13:40-14:30, FENS G035